Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Ann M. H. Multi-regime nonlinear capital asset pricing models. (English) Zbl 1277.91059 Quant. Finance 11, No. 9, 1421-1438 (2011). MSC: 91B25 62P05 91B84 91B30 91G10 PDFBibTeX XMLCite \textit{C. W. S. Chen} et al., Quant. Finance 11, No. 9, 1421--1438 (2011; Zbl 1277.91059) Full Text: DOI
Chen, Cathy W. S.; Gerlach, Richard H.; Lin, Ann M. H. Falling and explosive, dormant, and rising markets via multi-regime financial time series models. (English) Zbl 1224.91185 Appl. Stoch. Models Bus. Ind. 26, No. 1, 28-49 (2010). Reviewer: A. D. Borisenko (Kyïv) MSC: 91G70 91B84 62P05 65C05 65C40 PDFBibTeX XMLCite \textit{C. W. S. Chen} et al., Appl. Stoch. Models Bus. Ind. 26, No. 1, 28--49 (2010; Zbl 1224.91185) Full Text: DOI